A Jump Difusion Yield Factor Model of Interest Rate
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|Date of creation:||Oct 2001|
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- Ahn, Chang Mo & Thompson, Howard E, 1988. " Jump-Diffusion Processes and the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 43(1), pages 155-174, March.
- Ait-Sahalia, Yacine, 1996.
"Nonparametric Pricing of Interest Rate Derivative Securities,"
Econometric Society, vol. 64(3), pages 527-560, May.
- Yacine Ait-Sahalia, 1995. "Nonparametric Pricing of Interest Rate Derivative Securities," NBER Working Papers 5345, National Bureau of Economic Research, Inc.
- Attari, Mukarram, 1999. "Discontinuous Interest Rate Processes: An Equilibrium Model for Bond Option Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(03), pages 293-322, September. Full references (including those not matched with items on IDEAS)